Measuring systemic importance of banks considering risk interactions: An ANOVA-like decomposition method

The systemic importance of a bank is usually measured by its effect on the banking system, conditional on the insolvency of the bank and solvency of other banks. However, banks encounter different kinds of shocks simultaneously in reality. So that, the conditional results give biased estimates of banks’ systemic importance when potential risks are ignored. Researchers like Tarashev et al. proposed the Shapley value method to deal with risk...